If it is an old furnace with a manual pilot light there are pilot lighting instructions usually on a door or panel. If it is 15 years old or newer it probably has either a spark ignition or a hot surface ignitor. These can't be lit manually. If they fail they usually require parts to be repaired.

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Select thermostat to off. Take front upper panel off of furnace. Looking at gas valve you should see a flat head or straight slot screw. This is the cap to access the adjustment. Look at the body of the gas valve real close. You may need to put on your glasses or use magnifying glass. It should say pilot in very small raised letters. Remove the cap. Look down into access hole and you will see the adjustment screw. It is a nylon screw so be careful not to strip it out. Place the correct screw driver, should be a small phillips or straight head. Turn gas valve to pilot and depress. Light pilot. While holding down, adjust nylon screw clockwise until flame envelopes 3/8 to 1/2 inch around thermocouple. Replace cap. Select heat and verify pilot stays lit. If the flame doesn't stay lit most likely your thermocouple is defective. You can purchase at your local hardware or Home Depot. Length doesn't matter.The thermocouple is heated and sends a DC signal back to the gas valve. There is another screw cap on the gas valve that adjusts gas pressure. Do not try to adjust the gas pressure to the gas valve because you need a special instrument (manometer) to adjust pressure. This device measures the water colume of the gas. A qualified technician would adjust this to 3.5" WC. for natural gas or 11" for propane.

Depending on the furnace you might not hace a pilot light. There are several types of ignition devices. One of the more common a pilot light the second being a hot surface ignitor that glows red much like the heating element in a oven. Its possible that the HSI has cracked and needs to be replaced. Look for it on the left or right burner tube in the combustion compartment. It will either look like a rod about 3" long or a flat M.

The electronic ignition system in a gas furnace is a modern development that
allows more reliable performance than standing pilot furnaces, provides energy savings and contributes to better furnace efficiency (AFUE). With a standing pilot, found most commonly on older low
efficiency furnaces (55% to 65% AFUE is not uncommon), a small gas flame is
always burning and is known in the lexicon of American home repair as a "pilot
light". The problem with this type of "analog" ignition is that it wastes energy
by constantly burning gas and can sometimes be unreliable.
These issues have led to the development of electronic ignition
systems for mid to high efficiency furnaces that exceed the U.S. government's
established minimum AFUE rating of 78%. The electronic ignition occurs typically
in one of two ways:

Intermittent Pilot, or

Hot Surface Ignition
The intermittent pilot system uses an electronically controlled high
voltage electrical spark to ignite the gas pilot and then subsequently the main
burners, when the thermostat
calls for heat.
The hot surface ignition system uses an electronically controlled
resistance heating element not unlike a light bulb filament (and shown in the
photo above), to ignite the gas burner.
It is important to understand some of the other components of a modern
furnace that you will encounter depending on the type of high efficiency furnace
you have. Why? Because they can also come into play in repairing an electronic
ignition furnace when it won't run properly. Let's take a quick review of the
types of furnace designs and components found in high efficiency furnaces using
electronic ignition.

First thing and this is very important turn the thermostat off. When you are in front of your furnace remove the top cover to expose the burners and pilot light. You will see a gas valve that has a knob, lever, or some kind of switch on top of it. It will have off pilot and on in raised letters on top of it. Now move the knob to pilot position and if you have a long lighter or maybe fireplace match something long enough to reach back into the unit about 10 inches or so. Depress the knob hold down reach back with lite match, lighter and get close to pilot and there it will lite. Hold knob down for about 30 seconds and let go. Did the pilot stay on? Good if it did. Turn the knob to the on position and go to the thermostat and turn on the furnace. Now if you are nervous about lighting the pilot light you could call the gas company in your area and explain your situation and they should come out and do it for free. let me know how it turns out. ken